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Linearization effect in multifractal analysis: Insights from Random Energy Model analysis
Statistical Mechanics (cond-mat.stat-mech) Probability (math.PR) Statistics Theory (math.ST)
2010/12/17
The analysis of the linearization effect in multifractal analysis, and hence of the estimation of moments for multifractal processes, is revisited borrowing concepts from the statistical physics of di...
LIMIT THEOREMS FOR STOCHASTIC DYNAMICAL SYSTEM ARISING IN ISING MODEL ANALYSIS
Markov chain random transformation weak convergence Ising model wetting
2009/9/18
A simple stochastic dynamical system defined on the space
of doubly-infinite sequences of real numbers is considered. Limit theorems
for this system are proved. The results are applied to the physic...
Generalised linear mixed model analysis via sequential Monte Carlo sampling
generalised additive models longitudinal data analysis nonparametric regression sequential Monte Carlo sampler
2009/9/16
We present a sequential Monte Carlo algorithm for the Bayesian analysis of generalised linear mixed models (GLMMs). These models support a variety of interesting regression-type analyses, but performi...